To investigate the cross-correlations between individual stocks and the community structure in a stock market,
the data set should contain as many stocks as we can obtain.
On the other hand, the total time length of the time series of stock prices should also be as long as possible.
With these considerations, we obtain the daily data of 259 weighted stocks in the Shanghai Stock Exchange (SSE),
from Jan., 1997 to Nov., 2007, with 2633 data points in total.
For comparison, we select also 259 weighted stocks in the New York Stock Exchange (NYSE),
and collect the daily data from Jan., 1990 to Dec., 2006, with 4286 data points in total.
In the selection of these 259 stocks, we keep the diversity cross different business sectors.
In addition, to further analyze the interaction structure of the communities during a financial crisis,
we collect another data set, with the daily data of 249 weighted stocks from Oct., 2007 to Nov., 2008,
for both the NYSE and SSE markets. Over ninety-five percent of these 249 stocks overlap
with the above 259 stocks.
All these data are obtained from Yahoo Finance (http://finance.yahoo.com).
If the price of a stock in a particular day is absent, it is assumed that the price
is the same as the preceding day [1]}.
It has been pointed out that the missing data do not lead to artifacts [2]}.
